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    Title: Applying the seasonal error correction model to the demand for international reserves in Taiwan
    Authors: Huang, Tai-hsin;黃台心;Shen, Chung-hua
    Contributors: 淡江大學經濟學系
    Keywords: International reserve;Seasonal unit root;Seasonal cointegration
    Date: 1999-01-01
    Issue Date: 2009-11-30 18:36:57 (UTC+8)
    Publisher: Elsevier
    Abstract: A dynamic demand function for international reserves based on the seasonal difference is derived. Our model of using seasonal difference distinguishes the present study from previous studies in three aspects. First, the dependent variable is seasonally differenced instead of being first order differenced. Next, the local money market disequilibrium included is also in fourth difference form. Finally, given the existence of stochastic seasonality, a new model, using a seasonal error correction rather than the conventional error correction, is specified and estimated. Based on this new specification, the results yielded are more sensible than those of using a differenced model.
    Relation: Journal of international money and finance 18(1), pp.107-131
    DOI: 10.1016/S0261-5606(98)00039-4
    Appears in Collections:[經濟學系暨研究所] 期刊論文

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